Strategy - FX


Description

This extends the work of swhanly with a variation of accelerating dual momentum. However, here the use of regular currency and index funds for a diversified performance.

This strategy uses the following risk-on assets: FXA, FXB, FXC, FXE, FXF, FXY, CYB, SPY, QQQ. with UBT being the risk off haven.

It will buy only one risk on asset at a time.

Trading happens on the Close of the signal day

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 57.00
NoOfWins 38.00
NoOfLosses 19.00
SharpRatio 0.92
SortinoRatio 1.16
GrossProfit $49547.03
FirstDate 2010-12-30
LastDate 2023-08-31
FirstEquity $10000.00
FinalEquity $59547.03
OpenEquity $43001.66
LongEquity $49547.03
ShortEquity $0.00
PercentWins 66.67%
AveWin 9.06%
AveLoss -3.92%
AveWinLoss 2.31
Expectancy 4.73%
AveDrawUp 34.20%
AveDrawDown -9.56%
MaxDrawDown -26.94%
Kelly 52.24%
Thorpe 94.30
Rachev 0.84
APR 15.12%
CalmarRatio 1.58

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
QQQ 2010-12-30 2011-03-31 $48.56 $51.09 Long 148.0 5.22% 2939.27 10374.86
SPY 2011-03-31 2011-04-29 $104.73 $107.76 Long 71.0 2.90% 2952.14 10590.21
FXA 2011-04-29 2011-05-31 $94.30 $92.13 Long 81.0 -2.29% 2987.32 10414.98
FXF 2011-05-31 2011-07-29 $116.06 $125.77 Long 64.0 8.36% 3065.53 11036.29
UBT 2011-07-29 2011-10-14 $19.73 $26.73 Long 404.0 35.49% 13865.35 13865.35
UBT 2011-10-28 2012-01-31 $25.49 $30.14 Long 393.0 18.25% 4359.20 15693.01
QQQ 2012-01-31 2012-09-28 $54.23 $61.85 Long 209.0 14.06% 4850.61 17286.23
SPY 2012-09-28 2013-07-31 $117.32 $139.81 Long 106.0 19.17% 5503.17 19670.58
QQQ 2013-07-31 2014-03-31 $69.11 $80.98 Long 205.0 17.17% 6218.74 22103.14
SPY 2014-03-31 2014-05-30 $157.27 $162.04 Long 101.0 3.03% 6294.84 22584.74
UBT 2014-05-30 2014-06-30 $29.09 $28.92 Long 560.0 -0.57% 6315.37 22492.14
QQQ 2014-06-30 2014-07-31 $86.97 $88.00 Long 186.0 1.18% 6307.29 22683.34
UBT 2014-07-31 2014-08-29 $29.35 $31.91 Long 558.0 8.72% 6737.79 24110.52
QQQ 2014-08-29 2014-09-30 $92.41 $91.71 Long 188.0 -0.76% 6681.29 23979.06
UBT 2014-09-30 2014-10-31 $30.67 $32.44 Long 564.0 5.76% 6995.91 24975.10
QQQ 2014-10-31 2015-06-30 $94.13 $100.22 Long 191.0 6.47% 7338.16 26138.56
FXF 2015-06-30 2015-07-31 $103.87 $100.44 Long 181.0 -3.30% 7101.75 25517.83
TBF 2015-07-31 2015-11-30 $23.49 $23.26 Long 784.0 -1.00% 7057.36 25333.75
UBT 2015-11-30 2016-03-31 $34.42 $40.16 Long 531.0 16.69% 7906.25 28383.20
FXA 2016-03-31 2016-04-29 $73.66 $73.10 Long 278.0 -0.75% 7860.32 28228.64
FXY 2016-04-29 2016-06-30 $90.93 $93.58 Long 224.0 2.91% 8018.96 28822.24
UBT 2016-06-30 2016-07-29 $45.32 $47.29 Long 459.0 4.34% 8321.16 29725.62
FXY 2016-07-29 2016-08-31 $94.71 $93.35 Long 226.0 -1.44% 8255.25 29418.26
QQQ 2016-08-31 2016-11-30 $110.22 $111.51 Long 192.0 1.16% 8407.84 29664.42
SPY 2016-11-30 2016-12-30 $195.01 $198.97 Long 109.0 2.03% 8443.77 30095.57
QQQ 2016-12-30 2017-08-31 $112.77 $139.83 Long 192.0 23.99% 9815.37 35290.26
UBT 2017-08-31 2017-09-29 $39.56 $37.66 Long 644.0 -4.79% 9531.99 34068.75
QQQ 2017-09-29 2017-11-30 $139.41 $148.71 Long 176.0 6.67% 10104.77 35705.09
SPY 2017-11-30 2017-12-29 $239.26 $242.15 Long 107.0 1.21% 10132.77 36014.52
QQQ 2017-12-29 2018-04-30 $149.61 $154.84 Long 173.0 3.50% 10257.78 36919.51
CYB 2018-04-30 2018-05-31 $24.48 $24.20 Long 1089.0 -1.17% 10263.64 36606.53
QQQ 2018-05-31 2018-10-31 $163.62 $164.02 Long 161.0 0.25% 10189.90 36671.47
TBF 2018-10-31 2018-12-31 $22.77 $21.21 Long 1163.0 -6.86% 9682.02 34856.15
UBT 2018-12-31 2019-06-28 $36.75 $43.97 Long 685.0 19.65% 11105.74 39802.30
QQQ 2019-06-28 2019-07-31 $181.62 $185.86 Long 158.0 2.33% 11258.66 40472.31
UBT 2019-07-31 2019-11-07 $44.06 $45.85 Long 663.0 4.07% 41660.42 41660.42
QQQ 2019-11-29 2020-01-31 $199.88 $213.96 Long 150.0 7.04% 12181.50 43771.81
UBT 2020-01-31 2020-03-10 $53.00 $63.68 Long 596.0 20.14% 50135.02 50135.02
UBT 2020-03-30 2020-06-04 $67.22 $60.05 Long 538.0 -10.66% 46278.14 46278.14
UBT 2020-06-29 2020-06-30 $65.52 $65.00 Long 510.0 -0.79% 12997.93 46012.55
QQQ 2020-06-30 2021-02-26 $242.75 $309.00 Long 136.0 27.29% 15579.02 55021.92
SPY 2021-02-26 2021-06-30 $365.21 $413.73 Long 108.0 13.28% 16928.03 60261.66
QQQ 2021-06-30 2021-07-30 $349.46 $359.46 Long 124.0 2.86% 17423.27 61501.40
SPY 2021-07-30 2021-08-31 $423.83 $436.44 Long 104.0 2.98% 17483.27 62813.16
QQQ 2021-08-31 2021-09-30 $374.63 $353.34 Long 121.0 -5.68% 16717.40 60237.99
UBT 2021-09-30 2021-10-29 $50.66 $52.94 Long 859.0 4.50% 17602.11 62194.53
QQQ 2021-10-29 2021-11-30 $381.13 $388.74 Long 117.0 2.00% 17509.27 63084.97
UBT 2021-11-30 2022-01-04 $55.78 $50.08 Long 817.0 -10.23% 58423.38 58423.38
UBT 2022-01-28 2022-01-31 $49.64 $49.24 Long 850.0 -0.80% 16124.03 58084.16
TBF 2022-01-31 2022-12-07 $16.04 $20.01 Long 2616.0 24.73% 68460.58 68460.58
TBF 2022-12-29 2023-01-31 $21.73 $20.46 Long 2276.0 -5.84% 18228.27 65572.23
FXE 2023-01-31 2023-02-28 $98.84 $96.23 Long 479.0 -2.64% 17854.82 64321.00
TBF 2023-02-28 2023-03-31 $21.62 $20.67 Long 2149.0 -4.41% 17302.38 62271.08
UBT 2023-03-31 2023-05-22 $26.55 $23.76 Long 1694.0 -10.50% 57551.52 57551.52
UBT 2023-05-30 2023-05-31 $24.33 $24.82 Long 1708.0 2.01% 16202.20 58385.44
TBF 2023-05-31 2023-06-30 $21.40 $21.50 Long 1971.0 0.44% 16518.73 58571.47
QQQ 2023-06-30 2023-08-31 $368.88 $377.44 Long 114.0 2.32% 16545.37 59547.03

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
FX 0.72 TBF 2023-08-31 Hold Long 3.94% EOM
momentum  FXA  FXB  FXC  FXE  FXF  FXY  CYB  SPY  QQQ  UBT  TBF